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Palabras claves o descriptores: MONTE CARLO SIMULATION (Comienzo)
2 registros cumplieron la condición especificada en la base de información BIBCYT. ()
Registro 1 de 2, Base de información BIBCYT
Publicación seriada
Referencias AnalíticasReferencias Analíticas
Autor: Liu, Guangwu ; Hong, L. Jeff
Título: Revisit of stochastic mesh method for pricing American options
Páginas/Colación: pp. 411-414
Fecha: November 2009
Operations Research Letters Vol. 37, no. 6 November 2009
Información de existenciaInformación de existencia

Palabras Claves: Palabras: MONTE CARLO SIMULATION MONTE CARLO SIMULATION, Palabras: PRICING AMERICAN OPTION PRICING AMERICAN OPTION, Palabras: STOCHASTIC MESH METHOD STOCHASTIC MESH METHOD

Resumen
From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35–72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights.

Registro 2 de 2, Base de información BIBCYT
Publicación seriada
Referencias AnalíticasReferencias Analíticas
Autor: Sopasakis , Alexandros ; Katsoulakis, Markos A.
Título: Stochastic Modeling and Simulation of Traffic Flow: Asymmetric Single Exclusion Process with Arrhenius look-ahead dynamics
Páginas/Colación: 921-944 p.
Url: Ir a http://siamdl.aip.org/getabs/servlet/GetabsServlet?prog=normal&id=SMJMAP000066000003000921000001&idtype=cvips&gifs=Yeshttp://siamdl.aip.org/getabs/servlet/GetabsServlet?prog=normal&id=SMJMAP000066000003000921000001&idtype=cvips&gifs=Yes
SIAM Journal on Applied Mathematics Vol. 66, no. 3 Febr./March 2006
Información de existenciaInformación de existencia

Palabras Claves: Palabras: LOOK-AHEAD STOCHASTIC ARRHENIUS MICROSCOPIC DYNAMICS LOOK-AHEAD STOCHASTIC ARRHENIUS MICROSCOPIC DYNAMICS, Palabras: MONTE CARLO SIMULATIONS MONTE CARLO SIMULATIONS, Palabras: TRAFFIC FLOW TRAFFIC FLOW

Resumen
RESUMEN

RESUMEN

 

A novel traffic flow model based on stochastic microscopic dynamics is introduced and analyzed. Vehicles advance based on the energy profile of their surrounding traffic implementing the "look-ahead" rule and following an underlying asymmetric exclusion process with Arrhenius spin-exchange dynamics. Monte Carlo simulations produce numerical solutions of the microscopic traffic model. Fluctuations play an important role in profiling observationally documented but, at the simulation level, elusive traffic phenomena. Furthermore, based on scaling and limit arguments we obtain a macroscopic description of this microscopic dynamics formulation which up to leading term of the expansions takes the form of integrodifferential Burgers or higher-order dispersive partial differential equations. We outline connections and comparisons of the hierarchical models presented here (microscopic, macroscopic) with other well-known traffic flow models.

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

UCLA - Biblioteca de Ciencias y Tecnologia Felix Morales Bueno

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